The most benign explanation I can think of
is that Trump collected the marked banner pages of classified docs (but not the documents themselves) in order to impress his pals about how much cool stuff he brought to Mar-a-Lago from the White House.
But the most likely explanation is he has the documents squirreled away somewhere so he can use them for blackmail, for sale, or maybe to buy himself a cushy hideout in exile should it ever become necessary.